CME Options History — February 2011

In February 2011, CME traded between $58.27 and $63.19. ATM implied volatility averaged 27.0%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 0.4% (HV 20d: 27.5%). Max pain ranged from $60.00 to $62.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.60.

Notable Days

  • 2011-02-03: Highest Volume — 85,865 contracts
  • 2011-02-04: Largest IV drop — 15.9% change
  • 2011-02-15: Highest IV Rank — 37.9%
  • 2011-02-15: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.88$58.27$63.19$63.19$62.26
Max Pain$60.32$60.00$62.00$62.00$60.00
ATM IV27.0%23.1%30.4%27.0%24.6%
Expected Move7.8%7.0%8.7%7.7%7.0%
HV 20d27.5%22.5%31.5%22.5%31.1%
HV 60d24.8%22.6%26.1%22.7%24.3%
IV Rank25.0%9.9%37.9%24.7%15.5%
IV Percentile32.1%4.8%65.5%26.6%10.3%
Term Structure0.2%-2.2%2.5%-2.1%2.5%
VWIV27.8%25.6%30.8%27.4%25.8%
Skew 25d2.4%0.7%3.4%2.3%3.0%
Skew 10d4.4%2.2%5.7%4.4%5.3%
Call IV 25d26.7%23.7%30.4%26.5%23.7%
Put IV 25d29.1%26.7%32.2%28.9%26.7%
Bid-Ask Spread %29.3218.6561.4721.0020.24
Gamma HHI0.120.090.180.140.13
Net GEX6.8M-2.8M13.0M11.7M12.9M
Net DEX-63.3M-181.7M98.3M-165.8M-158.3M
Net VEX-2.1M-2.3M-1.8M-1.9M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.301.180.410.72
Total Volume31,981.8429,69085,86532,88020,285
Total OI253,971.316207,260299,225207,260258,760

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$63.19$62.0027.0%7.7%22.5%24.7%27.4%2.3%-2.1%11.7M-165.8M-1.9M0.4121.00N/AN/A23,3559,525117,48589,775
2011-02-02$63.03$62.0029.0%8.3%22.5%32.6%29.6%2.6%-2.2%10.2M-147.9M-2.0M0.6421.59N/AN/A25,98516,510118,71592,280
2011-02-03$60.17$62.0027.4%7.9%27.2%26.5%27.7%0.7%-0.2%2.3M-978.8K-1.8M0.4141.14N/AN/A61,07024,795122,81098,705
2011-02-04$60.84$60.0023.1%7.4%27.4%9.9%25.6%3.0%1.2%8.0M-63.0M-2.0M0.3634.02N/AN/A24,2058,765140,695105,145
2011-02-07$60.74$60.0026.1%7.6%26.6%21.6%26.0%3.4%0.5%4.8M-36.8M-2.0M0.5136.82N/AN/A9,7605,015137,285107,205
2011-02-08$60.21$60.0024.9%7.6%25.2%16.7%26.9%2.8%0.5%3.5M-11.7M-2.0M0.6534.82N/AN/A11,7757,595138,580108,810
2011-02-09$60.50$60.0025.6%7.7%25.0%19.7%26.8%2.0%0.1%6.3M-40.9M-2.0M0.3061.47N/AN/A33,97010,035143,475112,155
2011-02-10$61.54$60.0026.0%7.5%25.3%21.2%27.0%2.5%0.4%10.5M-96.5M-2.1M0.5834.38N/AN/A13,0007,495146,930113,215
2011-02-11$61.75$60.0025.5%7.3%25.3%19.3%26.4%2.8%0.6%11.7M-106.2M-2.1M0.9528.21N/AN/A8,4958,095147,105114,560
2011-02-14$60.51$60.0028.0%8.0%25.9%28.8%28.6%2.7%-0.3%4.4M-26.6M-2.0M0.8936.06N/AN/A14,50512,950147,120114,770
2011-02-15$58.27$60.0030.4%8.7%28.7%37.9%30.8%1.5%-1.7%-2.8M98.3M-1.9M0.4926.59N/AN/A44,77022,145151,015116,840
2011-02-16$58.74$60.0028.9%8.3%27.9%32.3%29.6%1.1%-0.9%909.0K53.9M-2.0M0.7125.79N/AN/A19,16013,695167,010122,220
2011-02-17$60.52$60.0027.6%7.9%29.9%27.0%27.7%2.6%0.4%9.7M-76.3M-2.2M0.4323.20N/AN/A30,02012,915170,480128,395
2011-02-18$60.57$60.0025.8%7.4%29.8%20.3%26.5%1.8%2.0%3.5M-63.4M-2.1M1.1819.33N/AN/A14,42017,015168,805130,420
2011-02-22$60.02$60.0029.3%8.4%30.0%33.6%29.9%2.3%-0.1%4.9M-35.2M-2.2M0.6422.78N/AN/A14,3709,135131,100105,800
2011-02-23$60.28$60.0029.9%8.6%29.9%36.1%30.3%3.1%0.3%6.1M-56.3M-2.3M0.5728.59N/AN/A12,5607,100136,895110,380
2011-02-24$60.91$60.0028.9%8.3%30.2%32.3%28.8%3.4%0.5%7.8M-86.4M-2.3M0.5122.37N/AN/A6,4353,255141,150113,360
2011-02-25$62.71$60.0025.5%7.3%31.5%19.2%25.9%2.7%1.8%13.0M-181.7M-2.3M0.4018.65N/AN/A16,7106,765141,820114,185
2011-02-28$62.26$60.0024.6%7.0%31.1%15.5%25.8%3.0%2.5%12.9M-158.3M-2.2M0.7220.24N/AN/A11,7858,500144,130114,630